SPY option month high/low by week from expiration

The CXO Advisory Blog led me to examine if there is any pattern to when the intraday high or low price of the option month occurs.  By option month, I mean from the first trading day after option expiration  to the day of option expiration.  By pattern, I mean the distribution of the high / low by week from option expiration.   Week zero is option expiration week, week one is the prior week [eg week zero is 15-19 March 2010, week 1 is 8-12 March 2010, week 2 is 1-5 of March 2010].  I looked at the closing prices (from Yahoo) of SPY.  The results are:

weeks before expiration month high month low
0 96 52
1 33 36
2 32 33
3 28 64
4 16 20

Graphically:

In a related finding, the difference between the close and the high or low:

(high-close)/close (close-low)/close) range
1 33.83% 16.67% 33.17%
52 3.97% 5.75% 8.56%
103 1.71% 3.42% 6.20%
154 0.75% 2.02% 4.31%
205 0.00% 0.00% 2.18%

In summary, the high of the option month is during option expiration week slightly less than 50% of the time. When you look at the days until expiration, the most common low day is expiration day (27 months out of 205) , and then  trading days 13-19, with the second most common being the 18th day from expiration day with 21 months [days 16-19 totaled 54 months or 26% of the total although only 16% of the total  (24) possible days in expiration month]).  I did a quick look at the last 3 years (36 months) and found that the option expiration week still dominated the high at 41%, but the low of the month (probably due to bear market) was a slightly more likely to be option expiration week at 33% (vs 25% for 3 weeks away) than the other weeks.

The median difference between the low of the option month and the close of the option month is 3.4% (that is, about 50% of the time the closing price is 3.4% higher than the low of the month).  The median difference between the high and the close is 1.75% (meaning the close was usually closer to the high than the low of the month).   The median range – [(high – low) / prior month close] was about 6%.

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